Package: pvarife
Type: Package
Version: 0.1.2
Title: Panel VAR Models with Interactive Fixed Effects
Description: Implements the estimator of Tugan (2021)
        <doi:10.1093/ectj/utaa021> for panel vector autoregression
        (VAR) models with interactive fixed effects. Provides joint
        estimation of VAR coefficients, latent common factors, and
        factor loadings via an iterative algorithm that alternates
        between principal component estimation of the factors and least
        squares estimation of the VAR coefficients, following the
        approach of Bai (2009) <doi:10.3982/ECTA6135>. Supports impulse
        response functions under recursive (Cholesky) identification,
        parametric confidence bands from the joint asymptotic
        distribution of the estimator (Theorem 2.3), and a classical
        residual bootstrap for robustness checks.
Authors@R: c(
    person("Binzhi", "Chen",
           email = "Binzhi.Chen9@gmail.com",
           role = c("aut", "cre"),
           comment = c(ORCID = "0000-0002-5094-7740")))
License: GPL-3
Encoding: UTF-8
LazyData: true
Depends: R (>= 4.1.0)
Imports: stats, mvtnorm, ggplot2, rlang
Suggests: testthat (>= 3.0.0), knitr, rmarkdown
Config/testthat/edition: 3
VignetteBuilder: knitr
URL: https://github.com/Rickchen0910/pvarife
BugReports: https://github.com/Rickchen0910/pvarife/issues
RoxygenNote: 7.3.3
Repository: https://rickchen0910.r-universe.dev
Date/Publication: 2026-06-11 18:56:07 UTC
RemoteUrl: https://github.com/rickchen0910/pvarife
RemoteRef: HEAD
RemoteSha: 2f39492ec24f9b871c7dcdcef8b46c8cce165c52
NeedsCompilation: no
Packaged: 2026-10-11 14:59:33 UTC; root
Author: Binzhi Chen [aut, cre] (ORCID: <https://orcid.org/0000-0002-5094-7740>)
Maintainer: Binzhi Chen <Binzhi.Chen9@gmail.com>